相关论文: Non-Linear pricing with differential machine learn…

Automatic differentiation (AD) is a technique for computing the derivative of a function represented by a program. This technique is considered as the de-facto standard for computing the differentiation in many machine learning and…

Deep learning for option pricing has emerged as a novel methodology for fast computations with applications in calibration and computation of Greeks. However, many of these approaches do not enforce any no-arbitrage conditions, and the…

This paper addresses the problem of decentralized learning to achieve a high-performance global model by asking a group of clients to share local models pre-trained with their own data resources. We are particularly interested in a specific…

In the modern financial system, combating money laundering is a critical challenge complicated by data privacy concerns and increasingly complex fraud transaction patterns. Although federated learning (FL) is a promising problem-solving…

The successes of deep learning, variational inference, and many other fields have been aided by specialized implementations of reverse-mode automatic differentiation (AD) to compute gradients of mega-dimensional objectives. The AD…

This paper introduces the Actuarial Neural Additive Model, an inherently interpretable deep learning model for general insurance pricing that offers fully transparent and interpretable results while retaining the strong predictive power of…

Deep learning is an effective approach to solving image recognition problems. People draw intuitive conclusions from trading charts; this study uses the characteristics of deep learning to train computers in imitating this kind of intuition…

The deployment of autonomous AI agents in derivatives markets has widened a practical gap between static model calibration and realized hedging outcomes. We introduce two reinforcement learning frameworks, a novel Replication Learning of…

We propose a new forward-backward stochastic differential equation solver for high-dimensional derivatives pricing problems by combining deep learning solver with least square regression technique widely used in the least square Monte Carlo…

Gradient-based techniques are becoming increasingly critical in quantitative fields, notably in statistics and computer science. The utility of these techniques, however, ultimately depends on how efficiently we can evaluate the derivatives…

The inability of deep learning models to handle data drawn from unseen distributions has sparked much interest in unsupervised out-of-distribution (U-OOD) detection, as it is crucial for reliable deep learning models. Despite considerable…

We propose a new high-order alternating direction implicit (ADI) finite difference scheme for the solution of initial-boundary value problems of convection-diffusion type with mixed derivatives and non-constant coefficients, as they arise…

This paper presents a novel non-stationary dynamic pricing algorithm design, where pricing agents face incomplete demand information and market environment shifts. The agents run price experiments to learn about each product's demand curve…

Derivatives play a critical role in computational statistics, examples being Bayesian inference using Hamiltonian Monte Carlo sampling and the training of neural networks. Automatic differentiation is a powerful tool to automate the…

American and Bermudan-type financial instruments are often priced with specific Monte Carlo techniques whose efficiency critically depends on the effective dimensionality of the problem and the available computational power. In our work we…

Stock price forecasting is a highly complex and vitally important field of research. Recent advancements in deep neural network technology allow researchers to develop highly accurate models to predict financial trends. We propose a novel…

Alignment of large language models remains a central challenge in natural language processing. Preference optimization has emerged as a popular and effective method for improving alignment, typically through training-time or prompt-based…

Neural networks (NNs) achieve outstanding performance in many domains; however, their decision processes are often opaque and their inference can be computationally expensive in resource-constrained environments. We recently proposed…

Reinforcement learning can interact with the environment and is suitable for applications in decision control systems. Therefore, we used the reinforcement learning method to establish a foreign exchange transaction, avoiding the…

High-frequency trading is prevalent, where automated decisions must be made quickly to take advantage of price imbalances and patterns in price action that forecast near-future movements. While many algorithms have been explored and tested,…